CORN Options History — July 2013

In July 2013, CORN traded between $36.03 and $39.66. ATM implied volatility averaged 27.1%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.3% (HV 20d: 27.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2013-07-09: Highest Volume — 1,796 contracts
  • 2013-07-09: Largest IV spike — 11.4% change
  • 2013-07-16: Highest IV Rank — 49.9%
  • 2013-07-16: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.72$36.03$39.66$38.07$36.34
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV27.1%24.3%30.7%27.8%25.3%
Expected Move7.8%7.0%8.7%8.0%7.2%
HV 20d27.5%22.4%30.9%27.9%22.5%
HV 60d27.8%24.2%29.6%28.6%24.2%
IV Rank39.1%32.3%49.9%37.5%40.0%
IV Percentile70.5%54.4%84.5%75.8%59.5%
Term Structure-0.1%-2.4%2.7%1.0%-0.3%
VWIV27.3%24.4%30.6%27.7%24.4%
Skew 25d-1.0%-2.5%1.1%-0.8%0.1%
Skew 10d-4.2%-11.6%0.9%-11.0%-4.6%
Call IV 25d27.8%24.8%31.0%28.1%24.8%
Put IV 25d26.8%24.2%29.3%27.3%24.9%
Bid-Ask Spread %17.5711.1324.8923.2311.13
Gamma HHI0.120.080.410.090.12
Net GEX-99.1K-893.7K476.9K42.3K-152.0K
Net DEX6.5M-934.1K10.0M5.5M8.5M
Net VEX-54.6K-72.1K-38.0K-60.7K-41.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.073.270.910.38
Total Volume636.6362021,7961,213361
Total OI17,464.63615,59619,90115,59617,594

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$38.07$40.0027.8%8.0%27.9%37.5%27.7%-0.8%1.0%42.3K5.5M-60.7K0.9123.23N/AN/A6365779,5456,051
2013-07-02$38.20$40.0027.3%7.8%28.0%36.2%27.0%0.7%1.7%3.9K5.6M-63.1K0.5719.94N/AN/A2061189,7356,471
2013-07-03$38.17$40.0026.5%7.6%27.1%34.1%26.6%-1.9%2.7%17.7K5.5M-63.8K2.2120.21N/AN/A631399,8636,526
2013-07-05$37.53$40.0026.2%8.0%26.4%33.2%28.7%-0.2%-0.3%-98.4K8.0M-57.5K2.0813.90N/AN/A1382879,9146,625
2013-07-08$37.90$40.0025.9%7.9%26.2%32.3%25.8%1.1%0.0%-104.6K7.4M-56.5K0.2122.59N/AN/A5711229,9306,675
2013-07-09$39.42$40.0028.8%8.3%29.9%40.5%29.8%-1.9%-0.1%256.7K660.7K-69.0K0.2317.12N/AN/A1,46333310,2686,730
2013-07-10$39.39$40.0030.7%8.6%29.7%45.8%30.6%-1.8%-1.1%315.2K236.9K-70.1K0.2424.89N/AN/A1,40633910,8536,754
2013-07-11$39.66$40.0029.2%8.4%29.3%41.6%29.5%-1.4%-0.7%476.9K-934.1K-72.1K0.4317.28N/AN/A40317211,6657,017
2013-07-12$38.55$40.0028.4%8.2%30.8%40.7%29.6%-1.3%-0.5%105.4K4.5M-65.6K2.9314.42N/AN/A21462711,9697,131
2013-07-15$38.15$40.0028.4%8.1%30.9%44.2%28.8%-1.1%-0.8%-84.5K6.6M-58.8K0.7218.22N/AN/A1359712,0956,941
2013-07-16$38.55$40.0030.2%8.7%30.3%49.9%25.5%-2.5%-2.4%-27.0K5.1M-60.4K2.2520.61N/AN/A31771412,1656,986
2013-07-17$38.00$40.0028.3%8.1%29.7%43.9%28.2%-1.6%-1.1%-271.8K7.7M-55.5K1.1119.03N/AN/A16017812,4376,951
2013-07-18$37.79$40.0027.9%8.0%27.2%42.6%27.8%-1.0%-0.3%-405.3K9.1M-52.6K3.2719.01N/AN/A10935612,5467,083
2013-07-19$37.90$40.0027.1%7.8%27.1%40.3%27.1%-0.3%-0.1%-893.7K9.2M-53.7K2.8320.47N/AN/A13638512,6327,269
2013-07-22$37.79$40.0027.4%7.8%27.1%40.9%26.9%-2.1%-0.8%-95.6K6.0M-49.9K0.5018.28N/AN/A22011110,0665,952
2013-07-23$37.01$40.0025.2%7.2%27.3%34.3%25.1%-0.4%0.8%-208.3K8.2M-44.7K0.5315.32N/AN/A34318110,1736,004
2013-07-24$36.60$40.0026.1%7.5%27.4%37.1%27.0%-0.5%-0.1%-198.5K8.6M-43.4K0.4911.59N/AN/A30715110,2835,913
2013-07-25$36.42$40.0025.4%7.3%27.3%34.8%26.5%-1.7%-0.2%-207.4K8.8M-43.8K0.3318.35N/AN/A2518310,4455,994
2013-07-26$36.16$40.0024.3%7.0%27.3%32.5%26.8%-1.1%1.4%-234.6K9.5M-41.0K0.0717.55N/AN/A6354210,6005,967
2013-07-29$36.03$40.0025.1%7.2%22.8%37.2%24.8%-0.6%-0.1%-240.3K10.0M-38.0K0.3411.97N/AN/A41414111,0535,967
2013-07-30$36.16$40.0025.3%7.3%22.4%40.1%25.3%-1.7%-0.0%-177.2K9.2M-40.6K0.8711.43N/AN/A19517011,3965,988
2013-07-31$36.34$40.0025.3%7.2%22.5%40.0%24.4%0.1%-0.3%-152.0K8.5M-41.2K0.3811.13N/AN/A26110011,5846,010